TY - JOUR
T1 - Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
AU - He, Changli
AU - Kang, Jian
AU - Silvennoinen, Annastiina
AU - Teräsvirta, Timo
PY - 2024/2
Y1 - 2024/2
N2 - We consider a vector version of the Shifting Seasonal Mean Autoregressive model. The model is used for describing dynamic behaviour of and contemporaneous dependence between a number of long monthly temperature series for 20 cities in Europe, extending from the second half of the 18th century until mid-2010s. The results indicate strong warming in the winter months, February excluded, and cooling followed by warming during the summer months. Error variances are mostly constant over time, but for many series there is systematic decrease between 1820 and 1850 in April. Error correlations are considered by selecting two small sets of series and modelling correlations within these sets. Some correlations do change over time, but a large majority remains constant. Not surprisingly, the correlations generally decrease with the distance between cities, but the precise geographical location also plays a role.
AB - We consider a vector version of the Shifting Seasonal Mean Autoregressive model. The model is used for describing dynamic behaviour of and contemporaneous dependence between a number of long monthly temperature series for 20 cities in Europe, extending from the second half of the 18th century until mid-2010s. The results indicate strong warming in the winter months, February excluded, and cooling followed by warming during the summer months. Error variances are mostly constant over time, but for many series there is systematic decrease between 1820 and 1850 in April. Error correlations are considered by selecting two small sets of series and modelling correlations within these sets. Some correlations do change over time, but a large majority remains constant. Not surprisingly, the correlations generally decrease with the distance between cities, but the precise geographical location also plays a role.
KW - Changing seasonality
KW - Nonlinear model
KW - Time-varying correlation
KW - Vector smooth transition autoregression
UR - http://www.scopus.com/inward/record.url?scp=85167977242&partnerID=8YFLogxK
U2 - 10.1016/j.jeconom.2023.105494
DO - 10.1016/j.jeconom.2023.105494
M3 - Journal article
SN - 0304-4076
VL - 239
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 1
M1 - 105494
ER -